Abstract #301431

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2002 Program page
JSM 2002 Abstract #301431
Activity Number: 385
Type: Contributed
Date/Time: Thursday, August 15, 2002 : 8:30 AM to 10:20 AM
Sponsor: Section on Physical & Engineering Sciences*
Abstract - #301431
Title: Robustness of Multivariate EWMA Control Charts When the Covariance Matrix is Estimated Using Small Samples
Author(s): Alexandra Kapatou*+
Affiliation(s): University of Michigan
Address: 105 S. State St. (4087 Frieze Bldg), Ann Arbor, Michigan, 48109-1285, USA
Keywords: exponentially weighted moving average ; average run length ; process monitoring ; nonparametric statistics
Abstract:

Multivariate control charts can be used to monitor the means of two or more correlated variables of a process. We consider processes where the target values of the means, variances, and covariances are estimated from the data. During monitoring, small random samples are collected at equal time intervals. Since estimates based on small samples are unreliable, the estimates of variances and covariances are updated with each new sample. In order to increase the sensitivity of the charts to detect small shifts from the target, past sample information is retained for each variable using an exponentially weighted moving average statistic (EWMA). Three multivariate, EWMA control charts are compared in this paper, each based on the componentwise sample average, sign, and signed rank statistics, respectively. The properties of the charts are evaluated using simulation. We study the advantages and disadvantages of each chart for various cases. Finally, we give recommendations on how to apply these charts in practice.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2002 program

JSM 2002

For information, contact meetings@amstat.org or phone (703) 684-1221.

If you have questions about the Continuing Education program, please contact the Education Department.

Revised March 2002